Detail publikace

Modeling Bank Loan LGD of Corporate and SME Segments: A Case Study

Autor: Radovan Chalupka Ph.D.,
Typ: Články v impaktovaných časopisech
Rok: 2009
Číslo: 4
ISSN / ISBN: 0015/1920
Publikováno v: The Czech Journal of Economics and Finance
Místo vydání: Praha
Klíčová slova: credit risk, loss given default, fractional responses, ordinal regression, quasi-maximum likelihood estimator
JEL kódy: G21, G28
Citace:
Granty: GACR 402/08/0501 (2008-2010) Politická ekonomie veřejných rozpočtů
Abstrakt: Loss given default (LGD) is one of key parameters to estimate credit risk in an internal rating based approach considered in The New Basel Capital Accord. The aim of this paper is to find determinants of LGD using a set of firm loan micro-data of an anonymous Czech commercial bank. We find that LGD is driven primarily by the period of loan origination, relative value of collateral, loan size and length of business relationship. Different models employed in our analysis provide similar results; in more complex models, log-log models appear to perform better, implying an asymmetric response of the dependent variable.
Srpen 2022
poútstčtsone
1234567
891011121314
15161718192021
22232425262728
293031    

Partneři

Deloitte

Sponzoři

CRIF
McKinsey
Patria Finance
Česká Spořitelna
EY